A variation on maximum and minimum options (best-of and worst-off options) which pays the Euclidian distance between the current price and the strike price of its underlying(s). The payoff of a Madonna call option can be given by:
where:
i is the underlying asset no. i= 1, 2, 3, … , n
S is the market price of underlying (i) at expiration time (T)
K is the strike price of an underlying (i)
The payoff of a Madonna put option is:
